Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0318
Annualized Std Dev 0.2576
Annualized Sharpe (Rf=0%) -0.1236

Row

Daily Return Statistics

Close
Observations 2918.0000
NAs 1.0000
Minimum -0.1071
Quartile 1 -0.0087
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0089
Maximum 0.0814
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0162
Skewness -0.2453
Kurtosis 2.8782

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0106
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0166
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.6975
Historical VaR (95%) -0.0259
Historical ES (95%) -0.0377
Modified VaR (95%) -0.0268
Modified ES (95%) -0.0425
From Trough To Depth Length To Trough Recovery
2009-10-23 2020-03-23 NA -0.6975 2871 2620 NA
2009-08-24 2009-08-25 2009-09-09 -0.0644 12 2 10
2009-09-22 2009-10-02 2009-10-09 -0.0551 14 9 5
2009-08-17 2009-08-17 2009-08-19 -0.0304 3 1 2
2009-10-16 2009-10-16 2009-10-19 -0.0223 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA -1.8 -2.5 -4.4 3.4 -0.9 -6.2
2010 3.5 2.2 2.3 -1.8 -0.6 0.2 0.8 4.1 0.6 -0.9 7.3 0.9 20.1
2011 1.2 -1.9 0.1 0.6 1.8 -2.2 -1.3 0.8 -3.6 -3.4 -1.4 1.5 -7.7
2012 0.6 2.8 0.6 1.3 -2 4 -0.2 1.2 -0.4 1.9 -0.5 4 13.9
2013 2.9 -2.5 0.7 -0.5 -1.5 2.2 0.5 1.3 1.4 -0.8 0.1 0.9 4.7
2014 -1.1 -0.3 -1.8 -1.4 0 0.7 0.5 1 0.6 1.5 -0.1 1.9 1.5
2015 -0.9 -0.2 -1.1 0.5 -0.3 0.8 -0.6 -3.3 0.1 -0.8 0.1 0.1 -5.5
2016 -1.8 1.3 -1.2 0.1 0.1 0.2 -2.1 -1.8 0.5 -1 -0.6 -0.3 -6.5
2017 1.2 0.7 0.2 0.5 1.1 1.4 0 -0.2 0.2 2.1 -1 1.4 7.8
2018 -0.9 -1.9 0.6 -1 3.5 0.5 -0.7 0.4 -1.4 0.7 -0.6 -0.7 -1.6
2019 -1.6 0.4 2.7 -1 0.1 1.6 -1.4 0.8 -0.9 2.5 -1.2 0.5 2.4
2020 -4.1 0.3 -1.1 -4.3 2.6 2.4 -1.2 1 0.7 -0.5 1.2 -0.1 -3.3
2021 0.8 2.6 0.4 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-08-14  26.0 SPY   101.  -0.0077  -0.0041   0.0825   0.136    -0.222   -0.207  -0.0597 GLD    93   -0.0077  -0.008 
2 2009-08-17  25.2 SPY    98.3 -0.0246  -0.0265   0.0444   0.0776   -0.245   -0.236  -0.0922 GLD    91.6 -0.0149  -0.0142
3 2009-08-18  25.8 SPY    99.1  0.0079  -0.0064   0.0416   0.0875   -0.228   -0.236  -0.0902 GLD    92.1  0.0049  -0.0079
4 2009-08-19  26.1 SPY   100.   0.0088  -0.0083   0.0459   0.104    -0.213   -0.231  -0.0915 GLD    92.5  0.0051  -0.0045
5 2009-08-20  27.0 SPY   101.   0.0103  -0.0057   0.0569   0.132    -0.208   -0.227  -0.0795 GLD    92.3 -0.0028  -0.0155
6 2009-08-21  27.5 SPY   103.   0.0196   0.0216   0.0544   0.157    -0.194   -0.209  -0.068  GLD    93.6  0.015    0.007 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart